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Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator

Nikolai N. Leonenko and Ivan Papić

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 20, 5091-5113

Abstract: We define the delayed Lévy-driven continuous-time autoregressive process via the inverse of the stable subordinator. We derive correlation structure for the observed non-stationary delayed Lévy-driven continuous-time autoregressive processes of order p, emphasizing low orders, and we show they exhibit long-range dependence property. Distributional properties are discussed as well.

Date: 2020
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DOI: 10.1080/03610926.2019.1612918

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